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Measuring the Significance of Diversification Gains
15 references·2 citing·41 second hop
Measuring the Significance of Diversification Gains (1998)Measuring the Significance of Diversifica…REIT Organizational Structure and Operating Characteristics (2001)REIT Organizational Structure…International Direct Real Estate Investments as Alternative Portfolio Assets for Institutional Investors: An evaluation (1995)International Direct Real Est…Temporal Aggregation in Real Estate Return Indices (1993)Temporal Aggregation in Real …Some Additional Evidence on the Performance of Commingled Real Estate Investment Funds: 1972-1991 (1992)Some Additional Evidence on t…Are Benchmark Portfolios Efficient? (1992)Are Benchmark Portfolios Effi…Smoothing in appraisal-based returns (1991)Smoothing in appraisal-based …Risk and return in real estate (1991)Risk and return in real estateInvestor Diversification and International Equity Markets (1991)Investor Diversification and …Testing for covariance stationarity in stock market data (1990)Testing for covariance statio…Benefits of international diversification (1990)Benefits of international div…Inferring an Investment Return Series for Real Estate from Observations on Sales (1989)Inferring an Investment Retur…A Test of the Efficiency of a Given Portfolio (1989)A Test of the Efficiency of a…On correlations and inferences about mean-variance efficiency (1987)On correlations and inference…Real Estate Returns: A Comparison with Other Investments (1984)Real Estate Returns: A Compar…Real Estate Investment Funds: Performance and Portfolio Considerations (1984)Real Estate Investment Funds:…Diversification Properties of Investments in Shipping (2009)Diversification Properties of…Testing the statistical significance of sector and regional diversification (2005)Testing the statistical signi…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Equilibrium in a Capital Asset Market (1966)The arbitrage theory of capital asset pricing (1976)Diversification Categories in Investment Real Estate (1986)Real Estate Returns and Inflation (1987)Price formation and the appraisal function in real estate markets (1991)The Valuation of Risk Assets and the Selection of Risky Investments in Stock Portfolios and Capital Budgets (1965)On multivariate tests of the CAPM (1987)A Skeptical Appraisal of Asset Pricing Tests (2006)Economic forces and the stock market revisited (2006)The information content of discounts and premiums on closed-end fund shares (1978)Value indices of commercial real estate: A comparison of index construction methods (1994)Price Discovery in American and British Property Markets (1995)A Model of Housing in the Presence of Adjustment Costs: A Structural Interpretation of Habit Persistence (2008)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Global Financial Markets and the Risk Premium on U.S. Equity (1992)Pre and post-October 1987 stock market linkages between U.S. and Asian markets (1995)Long‐Run Diversification Potential in Emerging Stock Markets (1996)A Regression Method for Real Estate Price Index Construction (1963)Price Indexes and Quality Change (1971)The Efficiency of the Market for Single-Family Homes (1988)Unsmoothing British valuation‐based returns without assuming an efficient market (1994)Appraisal Smoothing: The Other Side of the Story (1998)Housing Price Dispersion: An Empirical Investigation (2006)Estimating betas from nonsynchronous data (1977)Risk measurement when shares are subject to infrequent trading (1979)Do Stock Prices Move Too Much to be Justified by Subsequent Changes in Dividends? (1980)Estimating Market Values from Appraised Values without Assuming an Efficient Market (1993)The Integration of Commercial Real Estate Markets and Stock Markets (1999)Editor's Choice Digesting Anomalies: An Investment ApproachRisk, Return, and Equilibrium: Empirical Tests (1973)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Value versus Growth: The International Evidence (1998)Value and Momentum Everywhere (2013)Board Independence, Ownership Structure and Performance: Evidence from Real Estate Investment Trusts (2003)Public Versus Private Real Estate Equities: A More Refined, Long-Term Comparison (2005)Dynamic Correlations Among Asset Classes: REIT and Stock Returns (2010)Familiarity Breeds Investment (2001)International Asset Allocation With Regime Shifts (2002)The determinants of cross-border equity flows (2004)Do Real Estate Prices and Stock Prices Move Together? An International Analysis (1999)
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References

  • 1991Investor Diversification and International Equity Markets2,542 cited
  • 1989A Test of the Efficiency of a Given Portfolio2,369 cited
  • 1991Smoothing in appraisal-based returns425 cited
  • 1984Real Estate Returns: A Comparison with Other Investments335 cited
  • 1991Risk and return in real estate292 cited
  • 1984Real Estate Investment Funds: Performance and Portfolio Considerations224 cited
  • 1990Benefits of international diversification160 cited
  • 1987On correlations and inferences about mean-variance efficiency158 cited
  • 2001REIT Organizational Structure and Operating Characteristics141 cited
  • 1993Temporal Aggregation in Real Estate Return Indices136 cited
  • 1990Testing for covariance stationarity in stock market data111 cited
  • 1989Inferring an Investment Return Series for Real Estate from Observations on Sales101 cited
  • 1992Are Benchmark Portfolios Efficient?67 cited
  • 1992Some Additional Evidence on the Performance of Commingled Real Estate Investment Funds: 1972-199146 cited
  • 1995International Direct Real Estate Investments as Alternative Portfolio Assets for Institutional Investors: An evaluation39 cited

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Cited by

  • 2005Testing the statistical significance of sector and regional diversification30 cited
  • 2009Diversification Properties of Investments in Shipping23 cited